1 citations · 1 across the 2 of their papers we have counts for
2 papers
econ.EM2024
Estimation of Integrated Volatility Functionals with Kernel Spot Volatility Estimators
José E. Figueroa-López, Jincheng Pang, Bei Wu
For a multidimensional Itô semimartingale, we consider the problem of estimating integrated volatility functionals. Jacod and Rosenbaum (2013) studied a plug-in type of estimator b…
econ.EM2020★ 1 cited
Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging
José E. Figueroa-López, Bei Wu
We first revisit the problem of estimating the spot volatility of an Itô semimartingale using a kernel estimator. We prove a Central Limit Theorem with optimal convergence rate for…